import pandas as pd
import statsmodels.api as sm
import matplotlib.pyplot as plt
# Function to perform pairs trading strategy
def pairs_trading_strategy(df_pair, stockA, stockB):
# Fit ARIMA model for residuals of stockA
model_residualA = sm.tsa.ARIMA(df_pair[stockA], order=(1, 0, 1))
result_residualA = model_residualA.fit()
# Fit ARIMA model for residuals of stockB
model_residualB = sm.tsa.ARIMA(df_pair[stockB], order=(1, 0, 1))
result_residualB = model_residualB.fit()
# Generate residuals for the selected stock pair
residuals_advanced_A = result_residualA.resid
residuals_advanced_B = result_residualB.resid
# Calculate standard deviation of residuals for control limits
std_residuals_advanced_A = (residuals_advanced_A - residuals_advanced_A.mean()) / residuals_advanced_A.std()
std_residuals_advanced_B = (residuals_advanced_B - residuals_advanced_B.mean()) / residuals_advanced_B.std()
# Generate trading signals based on standardized residuals
threshold_advanced = 1.0
signals_advanced = pd.Series(index=std_residuals_advanced_A.index, dtype=int)
signals_advanced[std_residuals_advanced_A < -threshold_advanced] = 1 # Buy stockA
signals_advanced[std_residuals_advanced_A > threshold_advanced] = -1 # Short stockA
# Calculate standard deviation of standardized residuals for control limits
std_residuals_advanced_A_std_dev = std_residuals_advanced_A.std()
# Redefine control limits based on advanced model
control_limit_upper_advanced = threshold_advanced * std_residuals_advanced_A_std_dev
control_limit_lower_advanced = -threshold_advanced * std_residuals_advanced_A_std_dev
# Generate revised trading signals based on control limits from advanced model
revised_signals_advanced = pd.Series(index=std_residuals_advanced_A.index, dtype=int)
revised_signals_advanced[std_residuals_advanced_A > control_limit_upper_advanced] = -1 # Short stockA
revised_signals_advanced[std_residuals_advanced_A < control_limit_lower_advanced] = 1 # Buy stockA
# Revised trading simulation based on advanced model
capital_advanced = 100000 # Initial trading capital for advanced strategy
position_advanced = 0 # 0 indicates no position for advanced strategy
for i in range(1, len(df_pair)):
if revised_signals_advanced.iloc[i] == 1 and position_advanced == 0: # Buy signal and no position
position_advanced = capital_advanced / df_pair[stockA].iloc[i] # Invest all capital in stockA
capital_advanced = 0
elif revised_signals_advanced.iloc[i] == -1 and position_advanced > 0: # Short signal and there is a long position
capital_advanced = position_advanced * df_pair[stockB].iloc[i] # Sell stockB and convert to capital
position_advanced = 0
# Calculate final capital for advanced strategy
final_capital_advanced = capital_advanced + position_advanced * df_pair[stockA].iloc[-1]
# Print the final capital for advanced strategy
print(f"Final Capital for Advanced Strategy ({stockA}, {stockB}):", final_capital_advanced)
# Visualize and compare results
plt.figure(figsize=(12, 8))
plt.plot(std_residuals_advanced_A, label='Standardized Residuals ' + stockA)
plt.plot(std_residuals_advanced_B, label='Standardized Residuals ' + stockB)
plt.plot(signals_advanced, 'o', label='Trading Signals (Advanced)')
plt.plot(revised_signals_advanced, 'x', label='Revised Signals (Advanced)')
plt.axhline(y=control_limit_upper_advanced, color='r', linestyle='--', label='Upper Control Limit (Advanced)')
plt.axhline(y=control_limit_lower_advanced, color='g', linestyle='--', label='Lower Control Limit (Advanced)')
plt.title(f'Residuals-Based Pairs Trading Strategy (Advanced) - {stockA} vs {stockB}')
plt.legend()
plt.show()
# Iterate over stock files from stock1.csv to stock24.csv
for i in range(1, 25):
file_name = f'stock{i}.csv'
# Load data
df = pd.read_csv(file_name, parse_dates=['timestamp'])
# Select a pair of highly correlated stocks for analysis
stock_pairs = [("GARAN", "AKBNK"), ("VAKBN", "HALKB")] # Add more pairs as needed
# Iterate over stock pairs and apply pairs trading strategy
for stockA, stockB in stock_pairs:
df_pair = df[df['short_name'].isin([stockA, stockB])].pivot(index='timestamp', columns='short_name', values='price')
df_pair = df_pair.pct_change().dropna() # Calculate daily returns
pairs_trading_strategy(df_pair, stockA, stockB)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 39893.541353048306
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 19481.595871460093
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (GARAN, AKBNK): 22510.58126075075
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (VAKBN, HALKB): 44321.486841171645
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): -33807.58409701533
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (VAKBN, HALKB): 28414.0969162983
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): -17822.966507177713
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 12073.41236288155
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 8447.04353476258
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): -10105.613815525381
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 30764.966740575554
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Final Capital for Advanced Strategy (GARAN, AKBNK): -14071.87721774855
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 63690.47619047764
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 7091.377449096903
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 29589.632829371887
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 30143.673017785957
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 33781.8696883853
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Final Capital for Advanced Strategy (GARAN, AKBNK): 21118.910071140974
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 32870.37037037161
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): -21811.87154514343
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): -22135.416666667374
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (GARAN, AKBNK): -13755.702692037734
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (GARAN, AKBNK): 14308.550511006479
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 31193.41563785922
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 5257.744695886665
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 6233.465608465397
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): -6016.393442624515
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 0.0
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): 4134.254291845356
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): -8425.87455083508
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (VAKBN, HALKB): -7924.753149473318
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 5653.883972468545
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Final Capital for Advanced Strategy (VAKBN, HALKB): -5332.344946873956
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq) /Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting. self._init_dates(dates, freq)
Final Capital for Advanced Strategy (GARAN, AKBNK): 23669.3143431028
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/base/tsa_model.py:473: ValueWarning: A date index has been provided, but it has no associated frequency information and so will be ignored when e.g. forecasting.
self._init_dates(dates, freq)
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:966: UserWarning: Non-stationary starting autoregressive parameters found. Using zeros as starting parameters.
warn('Non-stationary starting autoregressive parameters'
/Users/ahmetemregokalp/opt/anaconda3/lib/python3.8/site-packages/statsmodels/tsa/statespace/sarimax.py:978: UserWarning: Non-invertible starting MA parameters found. Using zeros as starting parameters.
warn('Non-invertible starting MA parameters found.'
Final Capital for Advanced Strategy (VAKBN, HALKB): 33242.676198617024
The pair trading models employing simple linear regression and ARIMA methods for calculating control limits offer distinct advantages and face specific limitations. The simplicity and interpretability of the simple linear regression model make it easy to implement, providing a straightforward relationship between the two stocks. However, it assumes a linear relationship and is sensitive to outliers, potentially impacting accuracy. In contrast, the ARIMA model is tailored for time series data, capturing temporal patterns and offering statistical rigor for model validation. Yet, ARIMA models are more complex, require stationary data, and are better suited for short to medium-term predictions. The effectiveness of each model depends on the stability of the correlation between stock prices over time, with constant reassessment and adaptation to changing market conditions essential. Thorough model validation, backtesting, and the incorporation of risk management strategies are crucial for robust pair trading strategies. Additionally, considering factors beyond stock prices, such as market indices or economic indicators, can enhance the models' comprehensiveness. Overall, the choice between these models hinges on the specific characteristics of the data and the desired level of complexity, with continuous monitoring and refinement being imperative for successful pair trading strategies.